On forward and backward SPDEs with non-local boundary conditions

DOI10.3934/dcds.2015.35.5335zbMath1334.60108arXiv1307.8223OpenAlexW2964119001MaRDI QIDQ255495

Nikolai G. Dokuchaev

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.8223

zbMATH Keywords

stochastic partial differential equationsportfolio selectionnon-local conditionsperiodic conditions

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Portfolio theory (91G10)

Related Items (4)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ On backward SPDEs without proper Cauchy condition ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ On recovering parabolic diffusions from their time-averages

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